CFTC’s Market Risk Advisory Committee
1155 21st Street, N.W.
Washington, DC 20581
April 25, 2017
Welcome and Opening Remarks
Panel 1: Staff Response to CCP Risk Management Subcommittee’s Recommendations for CCP Default Management
Susan O’Flynn, Managing Director and Global Head of CCP Strategy, Governance and Optimization, Morgan Stanley
John Lawton, Acting Director of the Division of Clearing and Risk, CFTC
Robert Wasserman, Chief Counsel, Division of Clearing and Risk, CFTC
Kate Meyer, Risk Analyst, Division of Clearing and Risk, CFTC
Panel 2: Cybersecurity
Dennis McLaughlin, Group Chief Risk Officer, LCH
Steve Chabinsky, Partner, White & Case
1. What are the current cybersecurity considerations in the application of emerging technologies in the swaps and futures markets (e.g., cloud computing, FinTech, distributed ledger technology, automated and algorithmic trading)?
2. What is the current cybersecurity threat environment and risk exposure to the financial sector, ransomware and other cybercrime, recent attacks on financial institutions and networks (e.g., SWIFT, Malaysia)?
3. How is the industry collaborating in order to respond to cyber threats?
Panel 3: State of the Market
John Nixon, Senior Advisor, NEX
Anat Admati, Professor, Stanford University Graduate School of Business (Better Markets)
Biswarup Chatterjee, Global Head of Electronic Trading and New Business
Sunil Cutinho, President, CME Clearing
Jerry Jeske, Group Chief Compliance Counsel, Mercuria Energy (Commodity Markets Council)
Luke Zubrod, Director of Risk and Regulatory Advisory Services, Chatham Financial
1. Brexit/Volatility Events: How well did the markets that you use cope with recent volatility events like Brexit and the US election? What are some of the concerns that your organizations have about the potential short-term and long-term consequences of Brexit and future political elections, and how are you preparing for them?
2. Liquidity/SEFs: What is the state of liquidity for various types of products in the derivatives markets that you use during normal and distressed market conditions, including for: (a) large lots; and (b) bespoke interests? Are the SEFs functioning well?
3. Interest Rate Environment: What changes do you expect as we move to a rising interest rate environment – a return to normal, or more pronounced differences across jurisdictions?
4. Leverage Ratio: Has the application of the leverage ratio had an effect on market efficiency (e.g., widening spreads from the repo market) and the ability of firms, especially banks, to provide liquidity? Has the leverage ratio made the clearing business too expensive, and if so, do solutions like direct clearing memberships address some of the concerns? How do you think the application of the leverage ratio will impact recovery tools, such as porting of customer accounts?
5. Repo Market: As the repo markets are a critical source of short-term liquidity that fuels the derivatives markets, what is the state of the repo market’s liquidity and functioning? How is the cleared repo product for the dealer to customer market evolving?
6. Uncleared Margin: Why was there a surge in the clearing of NDFs and inflation-swaps after the margin rules were implemented, and what was the impact on liquidity, if any? Have margin rules caused market participants to shift to other, lower-cost products to hedge market/credit risk?
7. Other Issues: Are there other major market structure issues that the Commission should be addressing?